| Description |
1 online resource (27 pages) |
| Contents |
Cover; Contents; I. Introduction; II. OTC Derivatives and HQLA in Stressed Markets; III. Test Scenario in a Post-Default Environment; IV. The Impact of Prudential Regulation; A. Cleared Business; B. Uncleared Business; V. Impact of Market Stress on Collateral Supply; A. Default Fund Utilization; B. Initial Margin Increases; C. Loss of Receipts: Defaulted Master Agreements; D. Loss of Receipts-VMGH; E. Overall Impact of the Default on HQLA Requirements; Conclusions; Tables; 1. LCR Impact of Altered Margin Behavior Following Default; 2. Effect of Major Default on HQLA Requirements; Box |
| Summary |
Changes to the regulatory system introduced after the financial crisis include not only mandatory clearing of OTC derivatives at central counterparties and margining of uncleared derivatives, but also prudential measures, including notably a "Liquidity Coverage Ratio" which obliges firms to set aside high-quality liquid assets (HQLA) as a stopgap against anticipated cash outflows. We examine factors which may affect the demand for HQLA in a severely stressed market following a hypothetical default of a major clearing member. Immediately following a major default, the amount of HQLA demanded by the whole market would spike. We estimate the size of the spike and draw conclusions as to whether the depth of the market is adequate to absorb it |
| Notes |
1. The Demand/Supply of Global HQLA-the Macro Picture via Collateral Reuse RateReferences |
|
Print version record |
| Form |
Electronic book
|
| Author |
Singh, Manmohan
|
| ISBN |
9781484382448 |
|
1484382447 |
|
9781484381922 |
|
1484381920 |
|
